ASFYX vs. XLK
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Technology Select Sector SPDR Fund (XLK).
ASFYX is managed by Blackrock. It was launched on Jul 30, 2010. XLK is a passively managed fund by State Street that tracks the performance of the Technology Select Sector Index. It was launched on Dec 16, 1998.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ASFYX or XLK.
Performance
ASFYX vs. XLK - Performance Comparison
Returns By Period
In the year-to-date period, ASFYX achieves a -2.30% return, which is significantly lower than XLK's 22.00% return. Over the past 10 years, ASFYX has underperformed XLK with an annualized return of 3.38%, while XLK has yielded a comparatively higher 20.32% annualized return.
ASFYX
-2.30%
2.06%
-12.30%
-4.28%
6.89%
3.38%
XLK
22.00%
2.26%
8.94%
27.37%
23.15%
20.32%
Key characteristics
| ASFYX | XLK | |
|---|---|---|
| Sharpe Ratio | -0.38 | 1.26 |
| Sortino Ratio | -0.42 | 1.73 |
| Omega Ratio | 0.95 | 1.23 |
| Calmar Ratio | -0.18 | 1.61 |
| Martin Ratio | -0.53 | 5.56 |
| Ulcer Index | 8.13% | 4.92% |
| Daily Std Dev | 11.38% | 21.68% |
| Max Drawdown | -27.99% | -82.05% |
| Current Drawdown | -20.65% | -1.61% |
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ASFYX vs. XLK - Expense Ratio Comparison
ASFYX has a 1.47% expense ratio, which is higher than XLK's 0.13% expense ratio.
Correlation
The correlation between ASFYX and XLK is 0.18, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
ASFYX vs. XLK - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Technology Select Sector SPDR Fund (XLK). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
ASFYX vs. XLK - Dividend Comparison
ASFYX's dividend yield for the trailing twelve months is around 1.01%, more than XLK's 0.67% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.01% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.64% | 0.00% |
XLK Technology Select Sector SPDR Fund | 0.67% | 0.76% | 1.04% | 0.65% | 0.92% | 1.16% | 1.60% | 1.37% | 1.74% | 1.79% | 1.75% | 1.70% |
Drawdowns
ASFYX vs. XLK - Drawdown Comparison
The maximum ASFYX drawdown since its inception was -27.99%, smaller than the maximum XLK drawdown of -82.05%. Use the drawdown chart below to compare losses from any high point for ASFYX and XLK. For additional features, visit the drawdowns tool.
Volatility
ASFYX vs. XLK - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) is 2.97%, while Technology Select Sector SPDR Fund (XLK) has a volatility of 6.25%. This indicates that ASFYX experiences smaller price fluctuations and is considered to be less risky than XLK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.